Detection and Estimation of Structural Changes in Dynamical Regression Models

Authors:	Brodsky Boris, Russian Academy of Sciences, Russian Federation Darkhovsky Boris, Russian Academy of Sciences, Russian Federation
Topic:	1.1 Modelling, Identification & Signal Processing
Session:	Monitoring and Change Detection
Keywords:	structural change, change-point, dynamical regression, cointegration model

Abstract

The problem of retrospective detection and estimation of structural changes (change-points)in dynamical regression and cointegration models is considered. The asymptotic low bound for the quality functional of change-point detection in regression models is proved. The asymptotically optimal methods for detection of structural changes in regression and cointegration models are proposed.